Polynomial McKean-Vlasov SDEs

Christa Cuchiero; Janka Möller

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arXiv · 2502.19203

Polynomial McKean-Vlasov SDEs

Christa Cuchiero·Janka Möller

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Abstract

We study a new class of McKean-Vlasov stochastic differential equations (SDEs), possibly with common noise, applying the theory of time-inhomogeneous polynomial processes. The drift and volatility coefficients of these SDEs depend on the state variables themselves as well as their conditional moments in a way that mimics the standard polynomial structure. Our approach leads to new results on the existence and uniqueness of solutions to such conditional McKean-Vlasov SDEs which are, to the best of our knowledge, not obtainable using standard methods. Moreover, we show in the case without common noise that the moments of these McKean-Vlasov SDEs can be computed by non-linear ODEs. As a by-product, this also yields new results on the existence and uniqueness of global solutions to certain ODEs.

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Christa Cuchiero, Janka Möller. 2025-02-26. Polynomial McKean-Vlasov SDEs. https://arxiv.org/abs/2502.19203

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